I've read a bunch.
Cornwell is probably most famous for the Sharpe novels, which were adapted into the tv series starring Sean Bean. The series is very good at capturing the feel of the books, so if you liked that, you'll probably like his various series.
I've only actually read two of the "Sharpe" novels (of which there are about 20), plus the "Arthur" trilogy, the unrelated "Grail Quest" trilogy, the four books to date of the "Alfred" series, and now most of the stand-alone "Azincourt".
The two Sharpe's I've read are "Sharpe's Fury" and "Sharpe's Enemy" (I think). Of the two, the former was the more enjoyable - the characters just seemed stronger, and it 'felt' just like an episode of the series in novel form.
The Arthur trilogy ("The Winter King"/"The Enemy of God"/"Excalibur") are perhaps the most accessible to fantasy fans, as they have the strongest fantasy elements. I would also place them as my favourites to date. (As the name implies, they're his take on a King Arthur legend that almost could have happened.)
The Grail Quest trilogy ("Harlequin"/"Vagabond"/"Heretic") are actually set during the Hundred Years' War, and follow the adventures of an English archer, Thomas of Hookton. There's lots of action, lots of historical battles, and lots of travelling around France laying waste to the place. (At about the same time as I read these, I was regularly being sent to France by work, to most of the same places in the novels. That was fun.

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The Alfred series currently runs to four books, with another due next year, and some more beyond that. (The books so far are "The Last Kingdom", "The Pale Horseman", "Lords of the North" and "Sword Song".) This time, it's about Uthred, a Saxon lord who was captured by Norsemen as a boy, and who now serves Alfred the Great. It's another really good series, IMO, featuring lots more action, lots of historical battles, and lots of travelling around England laying waste to the place.
Finally, there's "Azincourt", which is about the battle of Agincourt. This one features Nicholas Hook, another English archer, and involves plenty of action, a few historical battles (notably Agincourt, though I haven't got to that yet), and lots of travelling around France laying waste to the place.
I haven't yet read one of his novels that I haven't enjoyed. They all have plenty of action, and are very good on historical details, but they're also strong on charactisation, and tend to have protagonists who are at least somewhat admirable.
I think the strongest ones I've read are the Arthur trilogy and "Azincourt", followed by the Alfred series, "Sharpe's Fury", the Grail Quest trilogy, and finally "Sharpe's Enemy". I think I'd probably recommend reading them in that order, too - I might be tempted to skip most of the Sharpe books, both because the series seems to capture them so well, and also because his later books do seem rather more polished.